Keframes aren't changeable!
You have to set the value of the keyframe in your case the "Y location" by pressing the "I" key and then selecting location, before movie the frame in the timeline or it wont set (unless you have "automatic keyframe insertion" turned on).

The "connected bar" is only a visual to tell you that the frame data (Y location) did not change between the two keyframes. It doesnt mean anything beyond that.